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Dec 21, 2024
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MATH 6203 - Stochastic Calculus for Finance I
This course starts with the probability theory in discrete probability space, discrete-time stochastic processes, and derivatives pricing in the Binomial model. The second part covers probability theory in general probability space and continuous-time martingale and Markov processes. Topics include: the It’o integral, Black-Scholes model, It’o-Doeblin formula, Girsanovs theorem, and Martingale Representation theorem. Applications to pricing of exotic derivatives and American options are discussed.
Credit Hours: (3)
Restriction(s): Admission to the graduate program and permission of Program Director.
Schedule of Classes
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